Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0246 |
| Annualized Std Dev | 0.3115 |
| Annualized Sharpe (Rf=0%) | -0.0789 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4212.0000 |
| NAs | 1.0000 |
| Minimum | -0.3408 |
| Quartile 1 | -0.0067 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0072 |
| Maximum | 0.2941 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0004 |
| Stdev | 0.0196 |
| Skewness | -0.6624 |
| Kurtosis | 53.4228 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0143 |
| Gain Deviation | 0.0151 |
| Loss Deviation | 0.0173 |
| Downside Deviation (MAR=210%) | 0.0184 |
| Downside Deviation (Rf=0%) | 0.0143 |
| Downside Deviation (0%) | 0.0143 |
| Maximum Drawdown | 0.8311 |
| Historical VaR (95%) | -0.0255 |
| Historical ES (95%) | -0.0460 |
| Modified VaR (95%) | -0.0146 |
| Modified ES (95%) | -0.0146 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2014-08-28 | 2020-03-18 | NA | -0.8311 | 1652 | 1398 | NA |
| 2007-04-19 | 2008-11-20 | 2011-04-19 | -0.6251 | 1010 | 404 | 606 |
| 2011-07-20 | 2011-08-08 | 2012-02-03 | -0.2480 | 138 | 14 | 124 |
| 2005-08-12 | 2006-05-22 | 2006-11-22 | -0.1674 | 324 | 195 | 129 |
| 2012-07-17 | 2012-11-15 | 2013-01-17 | -0.1579 | 127 | 85 | 42 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | 0 | 0 | 0.8 | 0.7 | 1.6 | -0.2 | -0.2 | 2.8 |
| 2005 | 0.9 | 0.3 | 2.2 | 0.6 | 1.3 | 0.6 | 1.4 | 0.7 | -0.3 | -2.6 | 0 | 0.5 | 5.6 |
| 2006 | 1 | -0.1 | -1.2 | 0.7 | 1.4 | -0.2 | 1.3 | 0.4 | 0.5 | -0.6 | 0.9 | 0.7 | 4.9 |
| 2007 | 2.9 | -2.6 | 1.2 | -0.8 | 0.6 | 0.9 | -3.3 | 1.1 | -0.4 | -0.2 | 3.5 | 3 | 5.7 |
| 2008 | 1.9 | -2.6 | 2 | 1.4 | -0.5 | 0 | 1.1 | 0.5 | 3.6 | 0.7 | -6.2 | 5.6 | 7.3 |
| 2009 | -1.1 | 3.4 | 0.3 | 2.2 | -0.2 | 0.7 | 0.4 | -1.7 | -0.4 | -0.5 | 1.1 | -1.9 | 2.2 |
| 2010 | 1.3 | 0.9 | 0.6 | -5.2 | -1.3 | -0.5 | -0.4 | 2 | 1.1 | -0.6 | 0 | -0.2 | -2.5 |
| 2011 | 1.1 | 0 | 0.8 | 0.4 | -1.7 | 0.4 | -0.1 | 0.7 | -0.3 | -1.5 | 0 | -0.9 | -1.2 |
| 2012 | 0.9 | 0.1 | 0.4 | -0.2 | -2.6 | 1.7 | 0.3 | 0.7 | 0.9 | 0.6 | 0.2 | 0.5 | 3.4 |
| 2013 | -0.1 | -0.4 | 1.8 | 0 | -1.1 | 0.8 | 0 | -0.6 | 1.6 | -0.4 | 1.3 | 1.1 | 4 |
| 2014 | 0.8 | -0.4 | 0.1 | 0.6 | 0.2 | 0.3 | -0.7 | 0.4 | -1.5 | 0.9 | -4.1 | 0.1 | -3.4 |
| 2015 | 0.7 | 0 | 0.4 | 0.3 | -0.7 | -1.9 | 0 | -2.1 | 1.7 | 1.9 | -1.7 | 5.8 | 4.2 |
| 2016 | -2.4 | -1.4 | -1.4 | 2.9 | 0.8 | 0 | -2.1 | 0 | 0.9 | -1.8 | -2.2 | 0.5 | -6.1 |
| 2017 | 0.8 | 0.7 | 1.7 | 0.5 | 0.8 | 0.4 | 0.2 | 0.3 | 0.8 | 1.7 | 2.4 | 1 | 11.9 |
| 2018 | 0.4 | -1 | 1.2 | 0.2 | 0.6 | 0.9 | 0.2 | -0.4 | 0.6 | 0.6 | 2.4 | 1.2 | 7.1 |
| 2019 | 0.1 | -0.5 | 1.2 | 0.5 | -0.6 | 0.8 | 0.2 | -0.1 | 0.1 | 0 | -0.3 | 0.9 | 2.4 |
| 2020 | -0.1 | -1.4 | 0.3 | -4.7 | 0.1 | 1.2 | -0.9 | -1 | -0.8 | -1.3 | -0.7 | 1.9 | -7.1 |
| 2021 | 0.4 | -0.2 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
